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Developing High-Frequency Trading Systems

You're reading from Developing High-Frequency Trading Systems

Product type Book

Published in Jun 2022

Publisher Packt

ISBN-13 9781803242811

Pages 320 pages

Edition 1st Edition

Languages

Concepts

Financial Technology

Authors (3):

Sebastien Donadio

Sourav Ghosh

Romain Rossier

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Table of Contents (16) Chapters

Preface

1. Part 1: Trading Strategies, Trading Systems, and Exchanges

2. Chapter 1: Fundamentals of a High-Frequency Trading System

3. Chapter 2: The Critical Components of a Trading System

4. Chapter 3: Understanding the Trading Exchange Dynamics

5. Part 2: How to Architect a High-Frequency Trading System

6. Chapter 4: HFT System Foundations – From Hardware to OS

7. Chapter 5: Networking in Motion

8. Chapter 6: HFT Optimization – Architecture and Operating System

9. Chapter 7: HFT Optimization – Logging, Performance, and Networking

10. Part 3: Implementation of a High-Frequency Trading System

11. Chapter 8: C++ – The Quest for Microsecond Latency

12. Chapter 9: Java and JVM for Low-Latency Systems

13. Chapter 10: Python – Interpreted but Open to High Performance

14. Chapter 11: High-Frequency FPGA and Crypto

15. Other Books You May Enjoy

Using kernel bypass

In this section, we will discuss using the kernel bypass technique to improve the performance of User Datagram Protocol (UDP) sockets to process inbound market data updates from the exchanges and Transmission Control Protocol (TCP) sockets to send outbound order flow/requests to the exchange. Fundamentally, kernel bypass looks to eliminate the expensive context switches and mode switches between kernel mode and user mode as well as duplicate copying of data from the Network Interface Card (NIC) to user space, each of which ends up reducing the latency quite a bit.

Network processing driven by system calls/interrupts in the non-kernel bypass design, threads, or processes that want to read incoming data on UDP or TCP socket block on the read call, as described in the Understanding context switches – interrupt handling section in the previous chapter. That leads the blocked thread or process being context switched out, and then it is woken up by the interrupt...

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Authors (3)

Sebastien Donadio

Sebastien Donadio is the Chief Technology Officer at Tradair, responsible for leading the technology. He has a wide variety of professional experience, including being head of software engineering at HC Technologies, partner and technical director of a high-frequency FX firm, a quantitative trading strategy software developer at Sun Trading, working as project lead for the Department of Defense. He also has research experience with Bull SAS, and an IT Credit Risk Manager with Socit Gnrale while in France. He has taught various computer science courses for the past ten years in the University of Chicago, NYU and Columbia University. His main passion is technology but he is also a scuba diving instructor and an experienced rock-climber.

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Sourav Ghosh

Sourav Ghosh has worked in several proprietary, high-frequency algorithmic trading firms over the last decade. He has built and deployed extremely low latency, high-throughput automated trading systems for trading exchanges around the world, across multiple asset classes. He specializes in statistical arbitrage market-making and pairs trading strategies with the most liquid global futures contracts. He is currently the vice president at an investment bank based in São Paulo, Brazil. He holds a master's in computer science from the University of Southern California. His areas of interest include computer architecture, FinTech, probability theory and stochastic processes, statistical learning and inference methods, and natural language processing.

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Romain Rossier

Romain Rossier brings 19+ years of experience mostly as a Software Architect in the financial industry, specializing in low latency, high performance java software design and development. He is currently the Chief Architect for the HCTech FX Proprietary Trading engine. He also built and led the software development team at HCTech, where he oversaw and developed the HFT platform architecture for FX, Futures and Fixed Income. Prior to HCTech, Romain was Director of the Currenex lab where he led the team responsible for the development of the Currenex Intelligent Pricing System. Romain holds a Master of Science in Communication Systems from the Swiss Federal Institute of Technology in Lausanne.

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